“Black Lodge” is maybe a lot of things or maybe not. It calls itself an opera and was a finalist for a Grammy this year in the opera category, since there isn’t a goth opera category yet. It’s loud.

The performance begins with Gaga perched atop a 25-foot red gown on a set designed to look like a Gothic opera house. She sings a few lines of her 2011 deep cut "Bloody Mary," which went viral on ...